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Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Revisiting volatility spillovers in the Gulf Cooperation Council
Author(s): Ziadat, Salem
AlKhouri, Ritab
Keywords: spillovers
international finance
Issue Date: 2022
Date Deposited: 7-Mar-2022
Citation: Ziadat S & AlKhouri R (2022) Revisiting volatility spillovers in the Gulf Cooperation Council. Cogent Economics and Finance, 10 (1), Art. No.: 2031683.
Abstract: This research offers a comprehensive review of the volatility spillover patterns in the Gulf Cooperation Council (GCC) stock market indexes covering daily data from 2/1/2004 to 5/11/2020. During this period, stock markets experienced fluctuations due to unexpected shocks, such as the international financial crisis, oil price shocks and, lately, the pandemic of COVID-19. The findings reveal a substantial increase in the connectedness of returns and volatilities in the GCC bloc during high stress periods with the COVID-19 era marking a historical high. That said, the results do not support significant changes in the directional patterns of volatility during the pandemic.
DOI Link: 10.1080/23322039.2022.2031683
Rights: © 2022 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY - 4.0 license. You are free to: Share — copy and redistribute the material in any medium or format. Adapt — remix, transform, and build upon the material for any purpose, even commercially. The licensor cannot revoke these freedoms as long as you follow the license terms. Under the following terms: Attribution — You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use. No additional restrictions You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.
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